M-SRWA 12b (CRM.2): Credit Risk Mitigation (Comprehensive Approach)
Report Date:
2025-09-26
Summary
Details
Modify
Cancel
Line no.
Exposure Class
Exposures before CRM
Specific Provisions for Past Due Exposures (P'000)
Amount Eligible for On-balance Sheet Netting
Total Exposure after Netting
Credit Risk Mitigation (CRM) using the Substitution Approach
Credit Risk Mitigation (CRM) using the Comprehensive Approach
Risk-Weighted Assets
Non Collateralised Exposures
Collateralised Exposures
Exposures eligible for CRM under the Substitution Approach
Guarantees by Eligible Guarantors
Credit Derivatives
Exposures Covered by CRM
Eligible Exposures not Covered by CRM
Risk Weighted Assets
Exposures Eligible for CRM under the Comprehensive Approach
Exposures after Volatility Adjustment
Eligible Financial Collateral After Haircuts
Risk-Weights of the CRM
RWA of Exposures Covered by CRM
Risk-Weights of Origional Counterparties
RWA of Exposures Not Covered by CRM
Cash (including CoDs)
Treasury Bills (Government of Botswana / BoB)
Debt Securities
Equities
Unit Trust / Mutual Funds (Main Index Only)
Total Collateral after haircuts
Exposure value after CRM
RWA of Exposures Not Covered by CRM
Unsecured Exposure subject to Credit Risk
RWA of unsecured expsure
Total Risk Weighted Assets
Part A: Risk-Weighted Amounts (On-Balance Sheet Exposures
(1)
(2)
(3)
(4)=(1)-(2)-(3)
(5)
(6)
(7)
(8)=(6)+(7)
(9)=(5)-(8)
(10)
(11) = (8) x (10)
(12)
(13)= (9) x(12)
(14)
(15)
(16)
(17)
(18)
(19)
(20)
(21)SUM(16) to (20)
(22)=(15)-(21)
(23) = (22) x (12)
(24)=(4)-(5)-(14)
(25)=(24)x(12)
(26)=(11)+(13)+(23)+25
1
Portfolio I: Claims on Sovereign or Central banks
Preforming Loans:
2
Exposures to the Government of Botswana and Bank of Botswana
0%
3
Exposure assigned credit quality grade of AAA to AA-
0%
4
Exposures assigned credit quality grade of A+ to A-
20%
5
Exposures assigned credit qualiity gade of BBB + to BBB-.
50%
6
Exposures assigned credit quality grade of BB+ to B- or unrated.
100%
7
Exposure assigned credit quality grade of below B-.
150%
Non-Performing Loans
8
Past due exposure where specific provision is less than 20% of the loan.
150%
9
Past due exposure where specific provision between 20% and 50% of outstanding loan of the loan.
100%
10
Past due exposure where specific provision is more than 50% of the outstanding loan.
50%
11
Sub-total (Line 2-10)
12
Portfolio II: Claims on Public Sector Entities (PSEs) - one risk weight less favourable than sovereign
Preforming Loans:
13
Claims on Domestic Public Sector Entities
20%
14
Soverign credit risk assessement rating of AAA to AA-.
20%
15
Soverign credit risk assessement rating of A+ to A-
50%
16
Soverign credit risk assessement rating of BBB+ to BBB- or unrated .
50%
17
Soverign credit risk assessement rating of BB+ to B-
100%
18
Soverign credit risk assessement rating of below B-.
150%
Non-Performing Loans
19
Past due exposure where specific provision is less than 20% of the loan.
150%
20
Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan.
100%
21
Past due exposurer where specific provision is more than 50% of the outstanding loan.
50%
22
Sub-total (Line 13-21)
23
Portfolio III: Claims on Exposure to BIS and IMF
24
Claims on Exposure to BIS and IMF
25
Portfolio IV: Claims on Multilateral Development Banks MDBs)
Preforming Loans:
26
Exposures to highly rated MDBs as per para 7.20 of the Capital Measurement and Capital Directive
0%
27
Exposure assigned a credit assessment rating of AAA to AA-.
20%
28
Exposure assigned a credit assessment rating of A+ to A-.
50%
29
Exposure assigned a credit assessment rating of BBB+ to BBB- or unrated MDBs.
50%
30
Exposure to MDBs assigned a credit assessment rating of BB+ or B-.
100%
31
Exposures assigned credit quality grade of below B-.
150%
Non-Performing Loans
32
Past due exposure where specific provision is less than20% of the loan.
150%
33
Past due exposure where specific provision betwee 20% and 50% of ouutstanding loanof the loan.
50%
34
Past due exposurer where specific provision is more than 50% of the outstanding loan.
50%
35
Sub-total (Line 26 - 34)
36
Portfolio V: Claims on Banks - one risk weight less favourable than sovereign
Preforming Loans:
37
Claims on Domestic Banks
20%
38
Soverign credit risk assessement rating of AAA to AA-.
20%
39
Soverign credit risk assessement rating of A+ to A-
50%
40
Soverign credit risk assessement rating of BBB+ to BBB- or unrated .
100%
41
Soverign credit risk assessement rating of BB+ to B-
100%
42
Soverign credit risk assessement rating of below B-.
150%
Non-Performing Loans
43
Past due exposure where specific provision is less than 20% of the loan.
150%
44
Past due exposure where specific provision betwee 20% and 50% of ouutstanding loanof the loan.
100%
45
Past due exposurer where specific provision is more than 50% of the outstanding loan.
50%
46
Sub-total (Line 37 - 45)
47
Portfolio VI: Claims on Security Firms
Preforming Loans:
48
Claims on security firms assigned a credit assessment rating of AAA to AA-.
20%
49
Claims on security firms assigned a credit assessment rating of A+ to A-.
50%
50
Claims on security firms assigned a credit assessment rating of BBB+ to BB-
100%
51
Claims on security firms assigned a credit assessment rating below BB-
150%
52
Unrated security firms
100%
Non-Performing Loans
53
Past due exposure where specific provision is less than 20% of the loan.
150%
54
Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan.
100%
55
Past due exposurer where specific provision is more than 50% of the outstanding loan.
50%
56
Sub-total (Line 48 - 55)
57
Portfolio VII: Claims on Corporates
Preforming Loans:
58
Claims to corporates assigned a credit assessment of AAA to AA-.
20%
59
Claims to corporates assigned a credit assessment of A+ to A-.
50%
60
Claims to corporates assigned a credit assessment of BBB+ or BB- or unrated corperate client.
100%
61
Claims to corporates assigned a credit assessment rating of below BB-
150%
Non-Performing Loans
62
Past due exposure where specific provision is less than 20% of the loan.
150%
63
Past due exposure where specific provision is equal to or greater than 20% but less than 50% of the loan.
100%
64
Past due exposure where specific provision is equal to 50% or more of the loan.
50%
65
Sub-total (58-64)
66
Portfoli VIII: Claims Included in the Retail Portfolios
Preforming Loans:
67
Retail exposures that fully comply with conditions set out in para 7.26 of the Capital Directive
75%
68
Retail exposures not complying with conditions referred to under item 67 of this return.
100%
Non-Performing Loans
69
Past due exposure where specific provision is less than 20% of the loan.
150%
70
Past due exposure where specific provision betwee 20% and 50% of outstanding loanof the loan.
100%
71
Past due exposurer where specific provision is more than 50% of the outstanding loan.
50%
72
Sub-total (67-71)
73
Portfoli IX: Claims Secured by Residential Mortgage Property
Preforming Loans:
74
Claims fully secured by residential mortgage property that fully comply with para 7.28 of the Capital Measurement and Capital Directive.
35%
75
Unsecured portion of exposure in excess of 90 percent regulatory loan-to-value limits.
75%
76
Other Residential Mortgages not meeting conditions of para 7.28 of the Capital Measurement and Capital Directive
75%
Non-Performing Loans
77
(a) Past due (qualifying mortage loans ) for more than 90 days and specific provision is less than 20% of the loan.
100%
78
(b) Past due (qualifying mortgage loans) for more than 90 days and specific provision is more than 20% of the loan.
50%
79
(i) Past due non-qualifying exposure where specific provision is less than 20% of the loan.
150%
80
(ii) Past due non-qualifying exposure where specific provision is equal to or greater than 20% but less than 50% of the loan.
100%
81
(iii) Past due non-qualifying exposure where specific provision is equal to 50% or more of the loan.
50%
82
Sub-total (74-81)
83
Portfolio X: Claims Secured by Commercial Real Estate
Preforming Loans:
84
Claims fully secured by mortgage on commercial real estate.
100%
Non-Performing Loans
85
Past due exposure where specific provision is less than 20% of the loan.
150%
86
Past due exposure where specific provision is equal to or greater than 20% but less than 50% of the loan.
100%
87
Past due exposure where specific provision is equal to 50% or more of the loan.
50%
88
Sub-total (Line 84-87)
89
Portfolio XI: Other Assets
90
Cash, gold, coins, bullion, foreign notes & coins, statutory reserve with Bank of Botswana.
0%
91
Cash in transit.
20%
92
Venture Capital and Private Equity Investments
150%
93
Investment equity or regulatory capital instruments issued by unconsolidated financial institutions (banks or security firms)
250%
94
Mortgage Service Rights
250%
95
Deferred Tax Assets (DTAs)
250%
96
Investment in commercial entities
1250%
97
Other Assets (including bank premises, plant and equipment, other fixed assets and all other assets)
100%
98
Sub-total (Line 90-97)
99
TOTAL ON-BALANCE SHEET RISK-WEIGHTED AMOUNT
*** Past-Due Exposures:
Report only unsecured
portion of exposures past-
due for more than 90 days.
Credit Risk Mitigation (CRM) using the Substitution Approach
Credit Risk Mitigation (CRM) using the Comprehensive Approach
Risk-Weighted Assets
CEA Eligible for CRM under the Substitution Approach
Non Collateralised Off-Balance Sheet Exposures
Collateralised Exposures
Guarantees by Eligible Guarantors
Credit Derivatives
Exposures Covered by CRM
Eligible Exposures not Covered by CRM
Risk Weighted Assets
CEA eligible for CRM under the Comprehensive Approach
CEA after Volatility Adjustment
Eligible Financial Collateral After Haircuts
100
PART B : RISK WEIGHTED AMOUNTS (OFF BALANCESHEET EXPOSURE)
Nominal Principal Amount
Credit Conversion Factor (CCF) (percent)
Credit Equivalent Amount (3)=(1)x(2)
CEA Eligible Counterparty for bilateral netting
CEA after Netting
Risk-Weights of the CRM
RWA of Exposures Covered by CRM
Applicable Risk-Weights of Origional Counterparties
RWA of Exposures Not Covered by CRM
Cash (including CoDs)
Treasury Bills (Government of Botswana / BoB)
Debt Securities
Equities
Unit Trust / Mutual Funds (Main Index Only)
Total Collateral after haircuts
CEA value after CRM
RWA of CEA Not Covered by CRM
Unsecured CEA subject to Credit Risk
RWA of unsecured CEA
Total Risk Weighted Assets
(1)
(2)
(3)=(1)x(2)
(4)
(5)=(3)-(4)
(6)
(7)
(8)
(9)=(7)+(8)
(10)=(6)-(9)
(11)
(12)=(9)x(11)
(13)
(14)=(10)x(13)
(15)
(16)
(17)
(18)
(19)
(20)
(21)
(22)=SUM(17) to (21)
(23)=(16)-(22)
(24) = (23) x (13)
(25)=(5)-(6)-(15)
(26)=(25)x(13)
(27)=(12)+(14)+(24)+(26)
101
Commitments
102
Original maturity of up to one year.
0%
103
Sovereign or Central Banks
0%
0%
104
Public Sector Entities
0%
0%
105
Multilateral Development Banks
0%
0%
106
Security Firms
0%
0%
107
Corporates
0%
0%
108
Retail Portfolios
0%
0%
109
Other Assets
0%
0%
110
Original maturity of more than one year.
0%
0%
111
Sovereign or Central Banks
0%
0%
112
Public Sector Entities
0%
0%
113
Multilateral Development Banks
0%
0%
114
Security Firms
0%
0%
115
Corporates
0%
0%
116
Retail Portfolios
0%
0%
117
Other Assets
0%
0%
118
Any solicitation limit, that is, a facility not yet contracted.
0%
0%
119
Commitments that are unconditionally cancellable at any time without prior-notice or that effectively provide for automatic cancellation due to a deterioration in a borrower's credit worthiness.
0%
0%
120
Direct credit substitute e.g. general guarantees of indebtedness (including stand-by letter of credit serving as financial guarantees for loans and securities) and acceptance.
0%
0%
121
Sovereign or Central Banks
0%
0%
122
Public Sector Entities
0%
0%
123
Multilateral Development Banks
0%
0%
124
Security Firms
0%
0%
125
Corporates
0%
0%
126
Retail Portfolios
0%
0%
127
Other Assets
0%
0%
128
Repurchase type of transactions involving security borrowing and lending.
0%
0%
129
Sovereign or Central Banks
0%
0%
130
Public Sector Entities
0%
0%
131
Multilateral Development Banks
0%
0%
132
Security Firms
0%
0%
133
Corporates
0%
0%
134
Retail Portfolios
0%
0%
135
Other Assets
0%
0%
136
Lending of bank's security or the posting of security as collateral by banks including instances where these arise out of repo-style transactions:
0%
0%
137
Sovereign or Central Banks
0%
0%
138
Public Sector Entities
0%
0%
139
Multilateral Dexetopment Banks
0%
0%
140
Security Firms
0%
0%
141
Corporates
0%
0%
142
Retail Portfolios
0%
0%
143
Other Assets
0%
0%
144
Sales and repurchase agreement and assets sale with recourse where the credit risk remain with the bank:
0%
0%
145
Sovereign or Central Banks
0%
0%
146
Public Sector Entities
0%
0%
147
Multilateral Development Banks
0%
0%
148
Security Firms
0%
0%
149
Corporates
0%
0%
150
Retail Portfolios
0%
0%
151
Other Assets
0%
0%
152
Forward assets purchase, forward deposits and partly paid shares and securities which represent commitment with certain draw down:
0%
0%
153
Sovereign or Central Banks
0%
0%
154
Public Sector Entities
0%
0%
155
Multilateral Development Banks
0%
0%
156
Security Firms
0%
0%
157
Corporates
0%
0%
158
Retail Portblios
0%
0%
159
Other Assets
0%
0%
160
Placement of forward deposits
0%
0%
161
Sovereign or Central Banks
0%
0%
162
Public Sector Entities
0%
0%
163
Multilateral Development Banks
0%
0%
164
Security Firms
0%
0%
165
Corporates
0%
0%
166
Retail Portfolios
0%
0%
167
Other Assets
0%
0%
168
Partly paid shares and securities
0%
0%
169
Sovereign or Central Banks
0%
0%
170
Public Sector Entities
0%
0%
171
Multilateral Development Banks
0%
0%
172
Security Firms
0%
0%
173
Corporates
0%
0%
174
Retail Portfolios
0%
0%
175
Other Assets
0%
0%
176
Certain transaction-related contigent items such as performance bonds, bid bonds,warrantees and stand by letters of credit related to particular transactions.
0%
0%
177
Sovereign or Central Banks
0%
0%
178
Public Sector Entities
0%
0%
179
Multilateral Dexelopment Banks
0%
0%
180
Security Firms
0%
0%
181
Corporates
0%
0%
182
Retail Portblios
0%
0%
183
Other Assets
0%
0%
184
Note issuance facilities and revolivng underwriting facilities .
0%
0%
185
Sovereign or Central Banks
0%
0%
186
Public Sector Entities
0%
0%
187
Multilateral Dexeloprnent Banks
0%
0%
188
Security Firms
0%
0%
189
Corporates
0%
0%
190
Retail Portblios
0%
0%
191
Other Assets
0%
0%
192
Short-term self•liquidating trade LCs/ Trade related contigent items (origional maturity <6 mths
0%
0%
193
Soverign or Central Banks
0%
0%
194
Public Sector Entities
0%
0%
195
Multilateral Development Banks
0%
0%
196
Security Firms
0%
0%
197
Corporates
0%
0%
198
Retail Portfolios
0%
0%
199
Other Assets
0%
0%
200
Off-balance sheet exposures other than the exposures specified above.
0%
0%
201
Sovereign or Central Banks
0%
0%
202
Public Sector Entities
0%
0%
203
Multilateral Development Banks
0%
0%
204
Security Firms
0%
0%
205
Corporates
0%
0%
206
Retail Portfolios
0%
0%
207
Other Assets
0%
0%
208
OTC Derivative transactions and credit derivative contracts (M-SRWA 12d)
209
Total Failed Trades (sum Unsettled non-DvP trades and Failed non-DvP Trades) (M-SRWA 12c)
210
TOTAL OFF-BALANCE SHEET RlSK•WElGHT AMOUNT
0%
0%
211
TOTAL RISK WEIGHTED ASSETS
0%
0%
Submit
Do you want to open the report?
Cancel
Yes
OK